Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0959 |
| Annualized Std Dev | 0.2421 |
| Annualized Sharpe (Rf=0%) | 0.3959 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4389.0000 |
| NAs | 1.0000 |
| Minimum | -0.1107 |
| Quartile 1 | -0.0068 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0082 |
| Maximum | 0.1301 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0153 |
| Skewness | -0.2137 |
| Kurtosis | 6.2085 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0110 |
| Gain Deviation | 0.0104 |
| Loss Deviation | 0.0115 |
| Downside Deviation (MAR=210%) | 0.0155 |
| Downside Deviation (Rf=0%) | 0.0108 |
| Downside Deviation (0%) | 0.0108 |
| Maximum Drawdown | 0.6074 |
| Historical VaR (95%) | -0.0231 |
| Historical ES (95%) | -0.0364 |
| Modified VaR (95%) | -0.0236 |
| Modified ES (95%) | -0.0412 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-06-06 | 2009-03-09 | 2011-04-27 | -0.6074 | 729 | 190 | 539 |
| 2018-09-17 | 2020-03-23 | 2020-10-09 | -0.4238 | 521 | 381 | 140 |
| 2011-07-08 | 2011-10-03 | 2013-01-22 | -0.2860 | 387 | 61 | 326 |
| 2014-12-30 | 2016-01-20 | 2016-12-07 | -0.2812 | 490 | 266 | 224 |
| 2007-07-20 | 2008-01-17 | 2008-06-05 | -0.2412 | 222 | 126 | 96 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 | 0.9 | -0.4 | 0.3 |
| 2004 | -2.9 | -0.1 | 0.8 | 0.1 | 0 | -1 | -0.4 | 0.3 | 1.7 | 0.3 | 2.1 | -0.2 | 0.5 |
| 2005 | 0.3 | 0.9 | -0.7 | 0.9 | 0.6 | 0.6 | 0.4 | -0.6 | 0.5 | 0.8 | 1.3 | -1.2 | 3.9 |
| 2006 | -1 | 1.9 | 0.5 | 0.1 | 1.8 | 0.7 | -1.9 | 0.6 | -0.3 | -1.2 | -0.3 | -0.6 | 0.1 |
| 2007 | 1.7 | -0.3 | 0.1 | -0.2 | 0.6 | -0.6 | 0.7 | 1.9 | 1.6 | -2.5 | 1.9 | -1.9 | 3 |
| 2008 | 1.3 | -2.7 | 4.2 | 3.4 | 0.5 | -1.7 | -2.5 | -0.6 | -0.7 | 4.2 | -8.8 | 2.8 | -1.5 |
| 2009 | -3.1 | -1.2 | 1.7 | 0.1 | 4.3 | 0.7 | 0 | -1.4 | -2.4 | -2.4 | 1.1 | -1.7 | -4.5 |
| 2010 | 1.7 | 0.5 | 0.2 | -1.7 | -2.4 | 0.4 | 0 | 3.9 | -0.2 | 0 | 2.4 | 0.1 | 4.7 |
| 2011 | 2 | -2.7 | 1.3 | 0.3 | -3.3 | 2.3 | -1 | -1.5 | -3.5 | -2.6 | -0.7 | -0.4 | -9.7 |
| 2012 | 0.6 | 1.3 | -0.1 | 1 | -3.2 | 2.8 | -2 | 0.3 | 0 | 1.5 | -0.5 | 1.6 | 3.1 |
| 2013 | 0.9 | -0.1 | -1.5 | -2.3 | -0.9 | 1.2 | 3.2 | -1.1 | 1.4 | 1 | -0.3 | 0.6 | 2 |
| 2014 | -0.3 | 0.3 | 0.9 | 0.7 | 0 | 0.8 | -0.2 | 0 | -2.5 | 1.4 | -2.7 | -0.6 | -2.3 |
| 2015 | -2.4 | -0.7 | -0.8 | 1.6 | 1.1 | 0.2 | -0.2 | -2.2 | 0.7 | -0.1 | 1.2 | -0.4 | -2 |
| 2016 | 0.9 | 2.2 | -0.7 | -1.2 | -0.2 | 1 | -0.4 | 0.6 | 1.2 | -0.6 | 0.6 | -0.4 | 2.8 |
| 2017 | -0.2 | 1.9 | -0.4 | -0.3 | 1.3 | 0.8 | -0.4 | 0.4 | 0.3 | 0.3 | -0.8 | -0.4 | 2.4 |
| 2018 | -0.6 | -0.4 | 2 | -0.3 | 1.3 | 0.4 | -0.9 | -0.1 | 0.3 | 1.8 | 1.3 | 0.7 | 5.8 |
| 2019 | 0.7 | 0 | 2.2 | -1.7 | -1.9 | 0.5 | -2.6 | 0.2 | -2.3 | 2.1 | -0.7 | 0.2 | -3.3 |
| 2020 | -2.5 | -1.2 | -4.8 | -3.4 | -0.1 | -0.3 | 1 | 1.2 | -0.2 | -0.7 | 0.5 | 0.2 | -9.9 |
| 2021 | 1.4 | 2.1 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2003-10-10 50.8 SPY 105. 0.0028 0.0114 0.0226 0.0381 0.297 -0.272 NA <NA> NA NA NA
2 2003-10-13 51.6 SPY 105. 0.0032 0.01 0.0239 0.0437 0.246 -0.272 NA <NA> NA NA NA
3 2003-10-14 51.8 SPY 105. 0.0035 0.0097 0.0311 0.0535 0.244 -0.254 NA <NA> NA NA NA
4 2003-10-15 51.4 SPY 105. -0.0027 0.0095 0.0136 0.0659 0.184 -0.250 NA <NA> NA NA NA
5 2003-10-16 51.6 SPY 105. 0.004 0.0108 0.0196 0.0593 0.218 -0.234 NA <NA> NA NA NA
6 2003-10-17 51.4 SPY 104. -0.0109 -0.003 -0.0033 0.0608 0.181 -0.236 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
